An Empirical Study On The Influencing Factors Of Stock Return Rate

China's stock market has made remarkable achievements after nearly 30 years of development and growth,but there are also some problems,such as large fluctuation range of stock prices,"policy market" is obvious,there are many retail investors and irrational investment.These problems in the stock market are mostly related to stock returns.The operation of stock market is based on the fluctuation of stock price.The level of stock price is directly related to investors' investment returns.Investors always want to minimize uncertainty and avoid risks,and get a high return on investment,so stock return is the most concern of all investors.Stock market is an information market.Market information,policy information,industry information and company information will all cause fluctuation of stock returns.In order to further explore the influencing factors of stock market returns in China,this paper chooses A-share data of Shanghai and Shenzhen Stock Exchanges from July 1997 to June 2018 as research samples,and adopts the sub-total research idea.First,it studies different stock returns separately.The market quotation and the influencing factors of stock returns in different industries are different.Finally,the influence of market quotation,policy,industry and company on stock returns is considered comprehensively.In the research of market and industry separately,the bottom-up analysis method is adopted.Firstly,five indicators are selected: market risk,company size,book-to-market value ratio,profitability and investment ability.Then,in two different markets,bull market and bear market,time series regression is used to explore the impact of each variable on the expected return of stocks under different market conditions.In the different traditional market and emerging market,cross-sectional regression analysis is adopted to explore the impact of five variables on stock returns.Empirical results show that market risk and firm size have a significant impact on stock returns,whether in bull or bear markets,traditional industries or emerging industries.The larger the coefficient before market risk,the higher the risk premium of the stock relative to the risk-free interest rate;the smaller the company,the higher the excess return relative to the larger company.In terms of book-to-market ratio,profitability and investment ability,listed companies with high book-to-market ratio,strong profitability and more conservative investment style will generally get higher returns in a bull market,while in a bear market,the opposite is true.In terms of overall significance,in bear market,investors pay more attention to the company's fundamentals,and pay more attention to financial analysis in investment decision-making.In the industry research,it is found that investors pay less attention to the company's financial situation when choosing some emerging industries or high-tech industries,and more rely on the prospects for the development of a certain industry to select stocks.This reflects the immaturity of investment behavior in China's stock market,and also shows the importance of choosing appropriate industries according to policies.After summarizing the variables of market factors,industry factors and company factors,the empirical results confirm the immaturity of China's stock market.There are still some problems,such as the stock price is greatly influenced by policy,more retail investors,irrational investment and high turnover rate.In addition,it also shows that stock returns are affected by many factors.When choosing portfolio,investors should integrate current market conditions,policy events,industry characteristics and financial indicators at the company level,make an all-round evaluation,and allocate assets through multiple industries to disperse risks as much as possible,so as to maximize investment returns.Combing the volatility of influencing factors of stock return under different circumstances can help investors correctly understand the operation characteristics of China's securities market under different market conditions and in different industries,correctly understand the market risks,and help investors correctly allocate the stock portfolio.At the same time,the discussion of asset pricing in the stock market can also provide some reference for perfecting the operation system of the stock market,improving the quality of operation of listed companies,and improving the investment decision-making level of investors.